Bakshi, Gurdip; Madan, Dilip - In: Management Science 52 (2006) 12, pp. 1945-1956
-order physical return moments and the parameters of the pricing kernel process. This theory predicts positive volatility spreads when …This study formalizes the departure between risk-neutral and physical index return volatilities, termed volatility … spreads. Theoretically, the departure between risk-neutral and physical index volatility is connected to the higher …